Inside the Yield Book (eBook)

The Classic That Created the Science of Bond Analysis

Martin L. Leibowitz, Sidney Homer, Anthony Bova, Stanley Kogelman (Autoren)

eBook Download: PDF

2013 | 3. Auflage
368 Seiten
John Wiley & Sons (Verlag)
9781118421918 (ISBN)

Infos

A completely updated edition of the guide to modern bond
analysis

First published in 1972, Inside the Yield Book
revolutionized the fixed-income industry and forever altered the
way investors looked at bonds. Over forty years later, it remains a
standard primer and reference among market professionals.
Generations of practitioners, investors, and students have relied
on its lucid explanations, and readers needing to delve more deeply
have found its explication of key mathematical relationships to be
unmatched in clarity and ease of application.

This edition updates the widely respected classic with new
material from Martin L. Leibowitz. Along the way, it skillfully
explains and makes sense of essential mathematical relationships
that are basic to an understanding of bonds, annuities, and
loans--in fact, any securities or investments that involve
compound interest and the determination of present value for future
cash flows. The book also includes a new foreword.

* Contains information that is more instructive, important, and
useful than ever for mastering the crucial concepts of time, value,
and return

* Combines the clear fixed-income insights found in the original
edition with completely new knowledge to help you navigate today's
dynamic market

* Includes over one hundred pages of new material on the role of
bonds within the total portfolio

In an era of calculators and computers, some of the important
underlying principles covered here are not always grasped
thoroughly by market participants. Investors, traders, and analysts
who want to sharpen their ability to recall and apply these
fundamentals will find Inside the Yield Book the perfect
resource.

Autor

MARTIN L. LEIBOWITZ is a managing director with Morgan Stanley Research Department's global strategy team. Prior to Morgan Stanley, he was vice chairman and chief investment officer of TIAA-CREF. He is the author of numerous books, and over 200 articles on various investment analysis topics, ten of which have won the prestigious Graham and Dodd Award. Leibowitz has received three of the CFA Institute's highest awards: the Nicholas Molodovsky Award, the James R. Vertin Award, and the Professional Excellence Award. In 1995, he became the first inductee into the Fixed Income Analysts Society's Hall of Fame. The late SIDNEY HOMER was the founder and general partner in charge of Salomon Brothers' bond market research department. Best known for his pioneering and analytical studies of bond market history and relative values and the economic forces that create bond market trends, he is the author of several books including A History of Interest Rates, The Bond Buyer's Primer, and The Price of Money. He was inducted posthumously into the Fixed Income Analysts Society's Hall of Fame in 1997. ANTHONY BOVA is an Executive Director with Morgan Stanley Equity Research's Global Strategy team. He won Best Article in the ninth annual Bernstein Fabozzi/Jacobs Levy Awards presented by the Journal of Portfolio Management for his coauthoring of "Gathering Implicit Alphas in a Beta World." In 2008, Mr. Bova coauthored Modern Portfolio Management (Wiley), which focused on active equity strategies. In 2010, he coauthored The Endowment Model of Investing (Wiley) with Martin Leibowitz and Brett Hammond of TIAA-CREF. STANLEY KOGELMAN is President of Delft Strategic Advisors, LLC, and a Principal at Advanced Portfolio Management. Prior to founding Delft Strategic Advisors, he served as a managing director at JPMorgan Private Bank and Goldman, Sachs & Co. He is the author and coauthor of more than sixty articles on finance and received two Graham and Dodd Awards and published two books jointly with Martin Leibowitz. In an earlier academic career, he held senior mathematics faculty positions and wrote several pioneering books on mathematics education, including Mind Over Math and The Only Math Book You'll Ever Need.

Inhalt

Preface to the 2013 Edition ix

Acknowledgments xi

PART I: DURATION TARGETING: A NEW LOOK AT BOND PORTFOLIOS
(2013 EDITION) 1

Introduction 3

CHAPTER 1 Duration Targeting and the Trendline Model 9

CHAPTER 2 Volatility and Tracking Error 35

CHAPTER 3 Historical Convergence to Yield 51

CHAPTER 4 Barclays Index and Convergence to Yield 63

CHAPTER 5 Laddered Portfolio Convergence to Yield 81

Appendix: Path Return and Volatility 95

References 105

PART II: SOME TOPICS THAT DIDN'T MAKE IT INTO THE 1972
EDITION (2004 EDITION) 107

Contents of the 2004 Edition 109

Foreword by Henry Kaufman 111

Preface to the 2004 Edition: A Historical Perspective 113

Technical Appendix to "Some Topics" 157

PART III: INSIDE THE YIELD BOOK (ORIGINAL EDITION)
171

Preface to the 1972 Edition 173

Contents of the 1972 Edition 175

List of Tables 179

About the Authors 349

Index 353

Rezensionen

"The third edition of Inside the Yield Book
builds on the previous editions with valuable insights into
duration targeting. The authors convey their mathematically elegant
findings with the same clarity and accessibility that characterized
the writing of Leibowitz and Homer more than 40 years ago, before
abstruse formulas began to permeate fixed-income
analysis."

--CFA Institute Book Review

Produkt-Details

• Erscheint lt. Verlag: 3.4.2013
• Reihe/Serie: Bloomberg Professional
• Reihe/Serie: Bloomberg Professional
• Sprache: englisch
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Finanz- u. Anlagewesen • Investments & Securities • Kapitalanlage • Kapitalanlagen u. Wertpapiere
• ISBN-13: 9781118421918 / 9781118421918